Simultaneously long short trading in discrete and continuous time
نویسندگان
چکیده
منابع مشابه
Simultaneously long short trading in discrete and continuous time
Simultaneously long short (SLS) feedback trading strategies are known to yield positive expected gain by zero initial investment for price processes governed by, e.g., geometric Brownian motion or Merton’s jump diffusion model. In this paper, we generalize these results to positive prices with stochastically independent multiplicative growth and constant trend in discrete and continuous time as...
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ژورنال
عنوان ژورنال: Systems & Control Letters
سال: 2017
ISSN: 0167-6911
DOI: 10.1016/j.sysconle.2016.11.011